Nasdaq Futures Sporting Two Unfilled Upside Gaps Worth Monitoring This Week

Even with Friday's selloff, it's noteworthy that the NASDAQ futures contract
has three upside gaps that remain unfilled. The most recent on April 1st is on
the verge of being filled, but it's the previous two gaps from March that are
particularly interesting. The longer those gaps remain unfilled, the more
positive the implications. The table below notes every instance since
inception of the NASDAQ futures contract in which it posted an upside gap that
remained unfilled for twenty trading days. Note that in only 4 cases out of 32
was the gap was filled within the following forty trading days (counting after
the initial twenty-day period)...

Upside gap on the daily Nasdaq futures chart goes unfilled for one month
04/01/08 Nasdaq Gap Up...
03/24/08 Nasdaq Gap Up...
03/18/08 Nasdaq Gap Up...
10/05/07 Nasdaq Gap Up... Unfilled After One Month...Gap filled.
04/03/07 Nasdaq Gap Up... Unfilled After One Month...Still unfilled two months later
08/16/06 Nasdaq Gap Up... Unfilled After One Month...Still unfilled two months later
08/14/06 Nasdaq Gap Up... Unfilled After One Month...Still unfilled two months later
11/03/05 Nasdaq Gap Up... Unfilled After One Month...Still unfilled two months later
10/31/05 Nasdaq Gap Up... Unfilled After One Month...Still unfilled two months later
07/14/05 Nasdaq Gap Up... Unfilled After One Month...Gap filled.
10/03/03 Nasdaq Gap Up... Unfilled After One Month...Still unfilled two months later
03/13/03 Nasdaq Gap Up... Unfilled After One Month...Still unfilled two months later
10/15/02 Nasdaq Gap Up... Unfilled After One Month...Still unfilled two months later
10/11/02 Nasdaq Gap Up... Unfilled After One Month...Still unfilled two months later
11/05/01 Nasdaq Gap Up... Unfilled After One Month...Still unfilled two months later
04/18/01 Nasdaq Gap Up... Unfilled After One Month...Still unfilled two months later
04/10/01 Nasdaq Gap Up... Unfilled After One Month...Still unfilled two months later
06/02/00 Nasdaq Gap Up... Unfilled After One Month...Still unfilled two months later
05/30/00 Nasdaq Gap Up... Unfilled After One Month...Still unfilled two months later
11/05/99 Nasdaq Gap Up... Unfilled After One Month...Still unfilled two months later
10/29/99 Nasdaq Gap Up... Unfilled After One Month...Still unfilled two months later
10/28/99 Nasdaq Gap Up... Unfilled After One Month...Still unfilled two months later
08/23/99 Nasdaq Gap Up... Unfilled After One Month...Gap filled.
06/16/99 Nasdaq Gap Up... Unfilled After One Month...Still unfilled two months later
12/21/98 Nasdaq Gap Up... Unfilled After One Month...Still unfilled two months later
12/18/98 Nasdaq Gap Up... Unfilled After One Month...Still unfilled two months later
02/02/98 Nasdaq Gap Up... Unfilled After One Month...Still unfilled two months later
01/13/98 Nasdaq Gap Up... Unfilled After One Month...Still unfilled two months later
07/14/97 Nasdaq Gap Up... Unfilled After One Month...Still unfilled two months later
07/03/97 Nasdaq Gap Up... Unfilled After One Month...Still unfilled two months later
04/29/97 Nasdaq Gap Up... Unfilled After One Month...Still unfilled two months later
11/05/96 Nasdaq Gap Up... Unfilled After One Month...Still unfilled two months later
09/13/96 Nasdaq Gap Up... Unfilled After One Month...Still unfilled two months later
04/22/96 Nasdaq Gap Up... Unfilled After One Month...Gap filled.
04/16/96 Nasdaq Gap Up... Unfilled After One Month...Still unfilled two months later

The one-month (twenty trading day) deadline for the first gap on March 18th is
this Tuesday's close. As long as the gap at 1714 on the June NDX holds over
the next two sessions, this setup will be triggered. It will be a particularly
strong sign if the second gap from March 24th at 1759 also remains unfilled
for a full month (twenty trading days = April 21st). If 1759 remains unfilled
as of April 21st, we'll have a cluster of two unfilled upside gaps within a
very short time frame. Historically, this has increased the likelihood that
the gap won't be filled. There have only been ten instances in the table above
in which the signal is triggered for a second time in less than one month. In
every case, the first gap remained unfilled two months later, and in 9 out of
10 cases the second gap also remained unfilled two months later. So keep an
eye on the Nasdaq and that gap between March 20th-24th this week.

Short-term, there's reason to expect a close above Friday's settlement within
the next few sessions. Despite a very lopsided session that saw declining
issues outnumber advancers by nearly a 4:1 margin, big board volume declined
from Thursday. Low-volume selloffs are not usually sustainable, at least for
the short-term, and the S&P invariably bounces within the next few days. The
last thirty times we've seen NYSE volume decline on a 3:1 or better negative
breadth day are listed in the table below. Note that in 28 out of 30 cases, or
93% of the time, the S&P posted a subsequently higher close within three
trading days, significantly better than the 72% at-any-time odds...

NYSE Decliners 3:1 over Advancers, NYSE Volume Down
04/11/08... ???
03/10/08... Higher SPX close one session later
03/06/08... Higher SPX close three sessions later
02/14/08... Higher SPX close one session later
12/14/07... Higher SPX close five sessions later
11/19/07... Higher SPX close one session later
11/15/07... Higher SPX close one session later
11/05/07... Higher SPX close one session later
05/10/07... Higher SPX close one session later
03/02/07... Higher SPX close two sessions later
01/05/07... Higher SPX close one session later
04/07/06... Higher SPX close one session later
08/05/05... Higher SPX close two sessions later
07/17/03... Higher SPX close one session later
06/23/03... Higher SPX close one session later
03/24/03... Higher SPX close one session later
03/10/03... Higher SPX close three sessions later
01/27/03... Higher SPX close one session later
10/09/02... Higher SPX close one session later
10/07/02... Higher SPX close one session later
09/19/02... Higher SPX close one session later
08/05/02... Higher SPX close one session later
07/22/02... Higher SPX close two sessions later
09/20/01... Higher SPX close two sessions later
09/18/00... Higher SPX close one session later
02/18/00... Higher SPX close one session later
05/14/99... Higher SPX close one session later
10/05/98... Higher SPX close five sessions later
07/23/98... Higher SPX close one session later
06/15/98... Higher SPX close one session later
08/08/97... Higher SPX close one session later

Categories : Archived EOD Commentary, End-of-Day Commentary

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